The original museum building was designed by Vilhelm Dahlerup and G.E.W. Møller and built 1889–1896 in a Historicist Italian Renaissance revival style.

Towards the back of the museum is a large modern extension designed by the architects Anna Maria Indrio and Mads Møller from Arkitektfirmaet C. F. Møller. The extension was erected in 1998 to house the extensive modern art collection. The two buildings are connected by a glass panelled 'Street of Sculptures' walkway and theatre which stretches the entire length of the museum and looks out onto the Østre Anlæg park.